Because you might be buying from criminals. But not in the way you think.
An article in the Guardian in the UK has quoted a man who was arrested in China. He said that on top of manual labour, prisoners were forced to play WoW for hours and raise gold, which the guards then sold to Westerners for monies. And the stakes are pretty high - as with those who shirked their manual labour, if you didn't fulfil quotas for gold farmed you were beaten.
So when I went over to gank the farmers at Eastern Plaguelands, I was actually increasing the odds that they'd get whipped later that night.